We present a systematic study of the angular distributions of high-order harmonics generated with a femtosecond laser. We investigate the influence of different parameters, namely laser intensity, nonlinear order, nature of the gas and position of the laser focus relative to the generating medium. We show that when the laser is focused before the atomic medium, harmonics with regular spatial profiles can be generated with reasonable conversion efficiency. Their divergence does not depend directly on the nonlinear order, the intensity or even the nature of the generating gas, but rather on the region of the spectrum the considered harmonic belongs to, which is determined by the combination of the three preceding elements. When the focus is drawn closer to the medium, the distributions get increasingly distorted, becoming annular with a significant divergence for a focus right into - or after - the jet. We perform numerical simulations of the angular distributions. The simulated profiles reproduce remarkably well the experimental trends and are thus used to interpret them.